Search Results - subject:"Monetary Exchange Rate Model"

The failure of the monetary model of exchange rate determination

Afat, Dinçer; Gómez Puig, Marta; Sosvilla-Rivero, Simón - In: Applied economics 47 (2015) 43/45, pp. 4607-4629

Persistent link: https://www.econbiz.de/10011380534

The Business Cycles of Currency Speculation : A Revision of the Mundellian Framework

Mendoza, Enrique G.; Uribe, Martín - 2008

In his seminal 1960 study on the dynamics of alternative exchange rate regimes, Robert Mundell proposed a theory of balance-of-payments crises in which speculators base their actions on the observed holdings of central bank foreign reserves. We examine the quantitative implications of this view...

Persistent link: https://www.econbiz.de/10014216232

Bubbles and information : an experiment

Sutter, Matthias; Huber, Jürgen; Kirchler, Michael - 2008 - This version: 13 September 2008

We study whether information about imminent future dividends can abate bubbles in experimental asset markets. Using the seminal design of Smith et al. (1988) we find that markets where traders are asymmetrically informed about future dividends have smaller, and shorter, bubbles than markets with...

Persistent link: https://www.econbiz.de/10009733231

Choice of interest rate term structure models for assets and liability management

Guan, Zhenke; Gan, Bing; Khan, Aisha; Poon, Ser-Huang - 2008

This paper compares the pricing and hedging performance of the LMM model against two spot-rate models, namely Hull-White and Black-Karasinski, and the more recent Swap Market Model from an Asset-Liability-Management (ALM) perspective. In contrast to previous studies in the literature, our...

Persistent link: https://www.econbiz.de/10003772415

Bubbles and information : an experiment

Sutter, Matthias; Huber, Jürgen; Kirchler, Michael - 2008

Persistent link: https://www.econbiz.de/10003805440

The Monetary Model Strikes Back : Evidence from the World

Cerra, Valerie - 2008

We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentals-based models very successful in...

Persistent link: https://www.econbiz.de/10012772215

The monetary model strikes back : evidence from the world

Cerra, Valerie; Saxena, Sweta Chaman - 2008

Persistent link: https://www.econbiz.de/10003701235

The Monetary Model Strikes Back : Evidence From the World

Cerra, Valerie - 2008

Persistent link: https://www.econbiz.de/10014400990

Exchange Rate Dynamics and Monetary Fundamentals: A Cointegrated SVAR Approach for Nigeria

Effiong, Ekpeno L. - In: Global Business Review 15 (2014) 2, pp. 205-221

validity of both short- and long-run versions of the monetary exchange rate model for the Nigerian nairaâ€“US dollar exchange …-run contemporaneous interactions are examined for the monetary exchange rate model. The results show the existence of a unique long … short-run evidence is not entirely consistent with the monetary exchange rate model, although the impulse response of the …

Persistent link: https://www.econbiz.de/10011139627

Exchange rates and monetary fundamentals in CEE countries: Evidence from a panel approach

Dąbrowski, Marek A.; Papież, Monika; Śmiech, Sławomir - In: Journal of Macroeconomics 41 (2014) C, pp. 148-159

This paper examines whether the monetary model is a reasonable framework for exchange rate movements in Central and Eastern European countries. We apply the methodology for non-stationary panels, which allows for cross-sectional dependence. We also choose the timespan of data free of high...

Persistent link: https://www.econbiz.de/10011065355